Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 30 (1D) | Oct 31 (2D) | Nov 03 (5D) | Nov 04 (6D) | Nov 05 (7D) | Nov 06 (8D) | Nov 07 (9D) | Nov 10 (12D) | Nov 11 (13D) | Nov 12 (14D) | Nov 14 (16D) | Nov 21 (23D) | Nov 28 (30D) | Dec 05 (37D) | Dec 12 (44D) | Dec 19 (51D) | Dec 26 (58D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 681.302 | 678.781 | 673.777 | 672.478 | 671.283 | 670.171 | 669.127 | 666.301 | 665.44 | 664.612 | 663.039 | 658.194 | 654.046 | 650.36 | 647.008 | 643.915 | 641.027 |
| upper | 693.478 | 695.999 | 701.003 | 702.302 | 703.497 | 704.609 | 705.653 | 708.479 | 709.34 | 710.168 | 711.741 | 716.586 | 720.734 | 724.42 | 727.772 | 730.865 | 733.753 |
| expected move | 6.088 | 8.609 | 13.613 | 14.912 | 16.107 | 17.219 | 18.263 | 21.089 | 21.95 | 22.778 | 24.351 | 29.196 | 33.344 | 37.03 | 40.382 | 43.475 | 46.363 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
